Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated April 4, 2014
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SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index April 3, 2014 [GRAPHIC OMITTED] |
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SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index
SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index
Excess Return Index(the "Index") Performance -- Bloomberg SPXD8UE Index
2004 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index 1.00% 2.69% -1.56% -0.17% 1.14% 1.01% -2.33% 0.76% 0.49% 1.32% 2.35% 2.62% 9.58%
2005 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index -1.27% 1.08% -0.54% -1.83% 1.12% -1.12% 2.61% -1.97% -0.83% 0.02% 1.72% -0.05% -1.18%
2006 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index 1.15% 1.35% 0.66% 1.88% -1.96% 0.19% -0.05% 1.18% 1.37% 2.43% -0.24% 1.15% 9.42%
2007 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index 1.51% -1.48% -0.13% 2.29% 2.05% -2.27% -2.92% 0.77% 0.36% -0.66% -1.45% -1.29% -3.32%
2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index -1.25% -1.47% 0.18% 1.12% 0.12% -4.59% 1.19% 0.87% 0.05% -2.03% -0.37% 0.09% -6.06%
2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index -1.91% -2.11% 1.92% 2.17% 0.71% -0.22% 2.76% 1.27% 1.58% -0.56% 2.26% 0.42% 8.48%
2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index -0.74% 1.40% 3.15% 1.57% -3.31% -1.80% 2.95% -1.16% 4.06% 0.85% -0.25% 3.36% 10.23%
2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index -0.31% 2.95% 0.25% 2.53% 0.23% -1.22% -2.36% -3.74% -1.46% 2.46% 0.81% 0.56% 0.47%
2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index 0.99% 1.02% 1.80% 0.37% -2.47% 1.71% 1.03% 0.78% 1.82% -0.30% 1.14% -0.07% 8.02%
2013 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
SPXD8UE Index 3.68% 1.99% 3.40% 1.22% 0.36% -0.63% 3.22% -2.92% 2.70% 3.40% 1.32% 1.60% 20.89%
2014 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
SPXD8UE Index -3.56% 2.49% 0.77% -0.40%
Please see key risks on the next page for additional information. Source: J.P.
Morgan. Past hypothetical performance results are neither indicative of nor a
guarantee of future returns. Actual results will vary, potentially materially,
from the hypothetical historical performance provided herein. There is no
assurance the Index will outperform the SandP 500[R] Index, the SandP 500[R]
Dividend Aristocrats Total Return Index, or any other alternative investment
strategy.
Hypothetical, historical performance measures: Represents the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from December 31, 2003
through August 24, 2010, and the actual historical performance of the Index
based on the daily Index closing level from August 25, 2010 through March 31,
2014, as well as the performance of the SandP 500[R] Index over the same period.
For purposes of these examples, each index was set equal to 100 at the beginning
of the relevant measurement period and returns are calculated arithmetically
(not compounded) . There is no guarantee the relevant Index will outperform the
SandP 500[R] Total Return Index, the SandP 500[R] Dividend Aristocrats Total
Return Index or any alternative investment strategy. Sources: Bloomberg and
JPMorgan. The hypothetical historical values above have not been verified by an
independent third party. The back-tested, hypothetical historical results above
have inherent limitations. These back-tested results are achieved by means of a
retroactive application of a back-tested model designed with the benefit of
hindsight. No representation is made that an investment linked to the Index will
or is likely to achieve returns similar to those shown. Alternative modelling
techniques or assumptions would produce different hypothetical historical
information that might prove to be more appropriate and that might differ
significantly from the hypothetical historical information set forth above.
Hypothetical back-tested results are neither an indicator nor a guarantee of
future returns. Actual results will vary, perhaps materially, from the analysis
implied in the hypothetical historical information that forms part of the
information contained in the table above.
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SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index
Key Risks
[] The Index may not be successful, may not outperform the SandP 500[R]
Dividend Aristocrats Total Return Index and may not achieve its target
volatility of 8%. No assurance can be given that the volatility strategy
will be successful.
[] J.P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with
SandP in developing the guidelines and policies governing the composition
and calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Indices. JPMS is under no obligation to consider your interests as an
investor.
[] The Index is not a total return index, and is subject to short-term money
market fund borrowing costs-- As an "excess return" index, the SandP 500[R]
Dividend Aristocrats Risk Control 8% Excess Return Index calculates the
return on a leveraged or deleveraged investment in the SandP 500[R]
Dividend Aristocrats Total Return Index where the investment was made
through the use of borrowed funds. Investments linked to this "excess
return" index, which represents an unfunded position in the SandP 500[R]
Dividend Aristocrats Total Return Index , will be subject to short-term
money market fund borrowing costs and will not include the "total return"
feature or the cash component of the "total return" index, which represents
a funded position in the SandP 500[R] Dividend Aristocrats Total Return
Index.
[] The Index represents portfolios consisting of the SandP 500[R] Dividend
Aristocrats Total Return Index and a borrowing cost component accruing
interest based on a synthetically rolling 3-month bond with reference to
the 2-month and 3-month U.S. LIBOR rates. The Index dynamically adjusts its
exposures to the SandP 500[R] Dividend Aristocrats Total Return Index based
on the SandP 500[R] Dividend Aristocrats Total Return Index's historic
volatility. The Index's' exposure to the SandP 500[R] Dividend Aristocrats
Total Return Index will decrease when historical volatility causes the risk
level of the SandP 500[R] Dividend Aristocrats Total Return Index to reach
a high threshold. If, at any time, the Index exhibits low exposure to the
SandP 500[R] Dividend Aristocrats Total Return Index and the SandP 500[R]
Dividend Aristocrats Total Return Index subsequently appreciates
significantly, the Index will not participate fully in this appreciation.
[] The Index began publishing on August 25, 2010 and, therefore, has a limited
history.
Index Disclaimers
[] "Standard and Poor's[R]," "SandP[R]," "SandP 500[R]," "SandP 500[R]
Dividend Aristocrats," and "SandP 500[R] Dividend Aristocrats Risk Control
8% Excess Return Index" are trademarks of the McGraw -Hill Companies, Inc.
and have been licensed for use by J.P. Morgan Securities LLC. This
transaction is not sponsored, endorsed, sold or promoted by SandP, and
SandP makes no representation regarding the advisability of purchasing
securities generally or financial instruments issued by JPMorgan Chase and
Co. SandP has no obligation or liability in connection with the
administration, marketing, or trading of products linked to the SandP
500[R] Dividend Aristocrats Risk Control 8% Excess Return Index.
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the "SEC")
for any offerings to which these materials relate. Before you invest in any
offering of securities by J.P. Morgan, you should read the prospectus in that
registration statement, the prospectus supplement, as well as the particular
product supplement, underlying supplement, the relevant term sheet or pricing
supplement, and any other documents that J.P. Morgan will file with the SEC
relating to such offering for more complete information about J.P. Morgan and
the offering of any securities. You may get these documents without cost by
visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, J.P. Morgan,
any agent or any dealer participating in the particular offering will arrange to
send you the prospectus and the prospectus supplement, as well as any product
supplement, underlying supplement and term sheet or pricing supplement, if you
so request by calling toll-free (800) 576 3529. Free Writing Prospectus filed
pursuant to Rule 433; Registration Statement No. 333-177923
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